| Metric | Buy & Hold | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 68.0% | 47.0% |
| Cumulative Return | 23,771.17% | 50,036.65% |
| CAGR﹪ | 4.04% | 4.6% |
| Sharpe | 0.33 | 0.47 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.32 | 0.45 |
| Sortino | 0.47 | 0.65 |
| Smart Sortino | 0.45 | 0.63 |
| Sortino/√2 | 0.33 | 0.46 |
| Smart Sortino/√2 | 0.32 | 0.44 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -86.19% | -46.91% |
| Longest DD Days | 9136 | 2807 |
| Volatility (ann.) | 15.78% | 10.93% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.05 | 0.1 |
| Skew | -0.11 | -1.22 |
| Kurtosis | 26.41 | 60.81 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.48% | 0.54% |
| Expected Yearly | 5.81% | 6.62% |
| Kelly Criterion | 3.84% | 6.79% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -1.11% |
| Expected Shortfall (cVaR) | -1.61% | -1.11% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.08 | 0.14 |
| Gain/Pain (1M) | 0.4 | 0.79 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.08 | 1.14 |
| Common Sense Ratio | 1.08 | 1.26 |
| CPC Index | 0.55 | 0.59 |
| Tail Ratio | 1.0 | 1.1 |
| Outlier Win Ratio | 5.9 | 11.51 |
| Outlier Loss Ratio | 3.2 | 3.77 |
| MTD | 1.55% | 1.55% |
| 3M | 11.96% | 11.96% |
| 6M | 15.33% | 5.88% |
| YTD | 8.5% | 8.5% |
| 1Y | 34.02% | 23.05% |
| 3Y (ann.) | 5.49% | 1.38% |
| 5Y (ann.) | 8.53% | 2.63% |
| 10Y (ann.) | 7.28% | 3.05% |
| All-time (ann.) | 4.04% | 4.6% |
| Best Day | 16.61% | 12.53% |
| Worst Day | -20.47% | -20.47% |
| Best Month | 39.14% | 23.12% |
| Worst Month | -29.94% | -21.76% |
| Best Year | 45.02% | 45.02% |
| Worst Year | -47.07% | -21.24% |
| Avg. Drawdown | -2.57% | -2.29% |
| Avg. Drawdown Days | 56 | 49 |
| Recovery Factor | 8.35 | 15.03 |
| Ulcer Index | 0.31 | 0.12 |
| Serenity Index | 0.39 | 1.68 |
| Avg. Up Month | 3.24% | 3.24% |
| Avg. Down Month | -3.17% | -3.17% |
| Win Days | 52.99% | 54.43% |
| Win Month | 59.48% | 63.25% |
| Win Quarter | 63.35% | 66.89% |
| Win Year | 67.01% | 66.3% |
| Beta | - | 0.48 |
| Alpha | - | 0.03 |
| Correlation | - | 69.29% |
| Treynor Ratio | - | 104222.18% |
| Year | Buy & Hold | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1928 | 12.32 | 12.32 | 1.00 | + |
| 1929 | -11.91 | -0.82 | 0.07 | + |
| 1930 | -28.48 | 0.00 | -0.00 | + |
| 1931 | -47.07 | 0.00 | -0.00 | + |
| 1932 | -14.78 | -12.36 | 0.84 | + |
| 1933 | 44.08 | 4.15 | 0.09 | - |
| 1934 | -4.71 | 4.91 | -1.04 | + |
| 1935 | 41.37 | 44.72 | 1.08 | + |
| 1936 | 27.92 | 27.92 | 1.00 | - |
| 1937 | -38.59 | -8.53 | 0.22 | + |
| 1938 | 24.55 | 13.67 | 0.56 | - |
| 1939 | -5.18 | -18.59 | 3.59 | - |
| 1940 | -15.09 | -7.13 | 0.47 | + |
| 1941 | -17.86 | -8.57 | 0.48 | + |
| 1942 | 12.43 | 14.14 | 1.14 | + |
| 1943 | 19.45 | 12.79 | 0.66 | - |
| 1944 | 13.80 | 12.07 | 0.87 | - |
| 1945 | 30.72 | 30.72 | 1.00 | - |
| 1946 | -11.87 | -4.09 | 0.34 | + |
| 1947 | -0.00 | -1.51 | 7566879575428.33 | - |
| 1948 | -0.65 | -6.15 | 9.41 | - |
| 1949 | 10.46 | 11.64 | 1.11 | + |
| 1950 | 21.68 | 21.68 | 1.00 | - |
| 1951 | 16.35 | 16.35 | 1.00 | + |
| 1952 | 11.78 | 9.25 | 0.79 | - |
| 1953 | -6.62 | -3.77 | 0.57 | + |
| 1954 | 45.02 | 45.02 | 1.00 | - |
| 1955 | 26.40 | 26.40 | 1.00 | - |
| 1956 | 2.62 | -0.29 | -0.11 | - |
| 1957 | -14.31 | -1.14 | 0.08 | + |
| 1958 | 38.06 | 27.09 | 0.71 | - |
| 1959 | 8.48 | 7.27 | 0.86 | - |
| 1960 | -2.97 | -14.92 | 5.02 | - |
| 1961 | 23.13 | 23.13 | 1.00 | + |
| 1962 | -11.81 | -7.59 | 0.64 | + |
| 1963 | 18.89 | 18.89 | 1.00 | - |
| 1964 | 12.97 | 12.97 | 1.00 | - |
| 1965 | 9.06 | 5.25 | 0.58 | - |
| 1966 | -13.09 | -6.82 | 0.52 | + |
| 1967 | 20.09 | 11.38 | 0.57 | - |
| 1968 | 7.66 | 1.89 | 0.25 | - |
| 1969 | -11.36 | -10.97 | 0.97 | + |
| 1970 | 0.10 | 9.31 | 95.25 | + |
| 1971 | 10.79 | 2.26 | 0.21 | - |
| 1972 | 15.63 | 15.63 | 1.00 | + |
| 1973 | -17.37 | -5.40 | 0.31 | + |
| 1974 | -29.72 | 0.00 | -0.00 | + |
| 1975 | 31.55 | 10.36 | 0.33 | - |
| 1976 | 19.15 | 19.15 | 1.00 | + |
| 1977 | -11.50 | -5.05 | 0.44 | + |
| 1978 | 1.06 | -2.20 | -2.07 | - |
| 1979 | 12.31 | -5.47 | -0.44 | - |
| 1980 | 25.77 | 15.43 | 0.60 | - |
| 1981 | -9.73 | -3.35 | 0.34 | + |
| 1982 | 14.76 | 17.68 | 1.20 | + |
| 1983 | 17.27 | 17.27 | 1.00 | + |
| 1984 | 1.40 | 0.34 | 0.24 | - |
| 1985 | 26.33 | 26.33 | 1.00 | - |
| 1986 | 14.62 | 14.62 | 1.00 | + |
| 1987 | 2.03 | 3.97 | 1.96 | + |
| 1988 | 12.40 | -2.34 | -0.19 | - |
| 1989 | 27.25 | 27.25 | 1.00 | - |
| 1990 | -6.56 | -16.85 | 2.57 | - |
| 1991 | 26.31 | 9.10 | 0.35 | - |
| 1992 | 4.46 | 4.46 | 1.00 | + |
| 1993 | 7.06 | 7.06 | 1.00 | - |
| 1994 | -1.54 | -5.39 | 3.50 | - |
| 1995 | 34.11 | 34.11 | 1.00 | + |
| 1996 | 20.26 | 20.26 | 1.00 | - |
| 1997 | 31.01 | 31.01 | 1.00 | + |
| 1998 | 26.67 | 10.37 | 0.39 | - |
| 1999 | 19.53 | 12.49 | 0.64 | - |
| 2000 | -10.14 | -2.23 | 0.22 | + |
| 2001 | -13.04 | 0.00 | -0.00 | + |
| 2002 | -23.37 | -6.14 | 0.26 | + |
| 2003 | 26.38 | 21.27 | 0.81 | - |
| 2004 | 8.99 | 7.74 | 0.86 | - |
| 2005 | 3.00 | 3.00 | 1.00 | - |
| 2006 | 13.62 | 13.62 | 1.00 | + |
| 2007 | 3.53 | 4.43 | 1.26 | + |
| 2008 | -38.49 | 0.00 | -0.00 | + |
| 2009 | 23.45 | 21.32 | 0.91 | - |
| 2010 | 12.78 | 2.56 | 0.20 | - |
| 2011 | -0.00 | -3.08 | 967.80 | - |
| 2012 | 13.41 | 9.09 | 0.68 | - |
| 2013 | 29.60 | 29.60 | 1.00 | + |
| 2014 | 11.39 | 11.39 | 1.00 | - |
| 2015 | -0.73 | -5.84 | 8.04 | - |
| 2016 | 9.54 | 8.69 | 0.91 | - |
| 2017 | 19.42 | 19.42 | 1.00 | - |
| 2018 | -6.24 | -8.13 | 1.30 | - |
| 2019 | 28.88 | 8.55 | 0.30 | - |
| 2020 | 16.26 | -1.30 | -0.08 | - |
| 2021 | 26.89 | 26.89 | 1.00 | - |
| 2022 | -19.44 | -21.24 | 1.09 | - |
| 2023 | 24.23 | 7.43 | 0.31 | - |
| 2024 | 8.50 | 8.50 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1929-09-17 | 1935-11-05 | -46.91 | 2241 |
| 2018-09-21 | 2021-04-15 | -36.83 | 938 |
| 1938-10-11 | 1945-02-18 | -35.46 | 2323 |
| 1987-08-26 | 1995-05-02 | -33.24 | 2807 |
| 2022-01-04 | 2024-03-12 | -25.98 | 799 |
| 1978-09-13 | 1982-10-06 | -23.86 | 1485 |
| 1946-05-31 | 1950-06-05 | -20.27 | 1467 |
| 1937-03-11 | 1938-10-09 | -19.98 | 578 |
| 1998-07-20 | 1999-04-26 | -19.34 | 281 |
| 1959-08-04 | 1961-11-07 | -18.61 | 827 |